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If you are really quick, you can see the location change in the iframe, before index.php is loaded into the window
(Change onClick to onMouseDown if you want to be able to see the change for a longer time)

I think if you want to stop it loading the page in the URL you need to add "return false" to the onClick event. The problem is that doing that will stop the page in the URL from being loaded at all, so your variable will not be passed to that PHP script.

If you have control over the PHP scripts you should have no problems loading a single script with the variable which in turn loads the other two scripts with that variable - you should definitely change the architecture of your PHP application (if it's having to rely on weird javascript hacks to transmit information to two scripts at once then something is definitely wrong).